JPMorgan to price knock-out digital notes on Russell, Gold Miners ETF

By Toni Weeks

San Diego, May 8 - JPMorgan Chase & Co. plans to price 0% knock-out digital notes due June 17, 2013 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if either underlying component drops by more than 40% from the initial level on any day during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus the 13.8% digital return.

If a knock-out event occurs and each component finishes at or above its initial level, the payout will be par.

If a knock-out event occurs and either component's closing level has dropped below its initial level, investors will receive par plus the return of the least-performing component.

The notes (Cusip: 48125VYA2) are expected to price May 11 and settle May 16.

J.P. Morgan Securities LLC is the agent.

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